Pretty much all demons in the Disgaea series have pointed ears, and bat wings aren't uncommon.
Rozy may be busty and all, but there's not much outside of that that hints toward her being a succubus. In fact, since she uses humanoid weapons, and Succubi are monster-type characters who can only use monster-type weapons, it's pretty much proven that she's not a succubus.
The only thing we know for sure about her ancestry is that when the real Overlord Zenon reincarnated into this body, she was born to one of the Snow Clan, so she's kin to Yukimaru.